WinDBG: "The call to LoadLibrary (exts) failed. Win32 error 0n2"

You have started WinDBG and immediately run into the “The call to LoadLibrary (exts) failed. Win32 error 0n2” error, like this:
This seemed to be an odd error, as it was the first time I had started the debugger. To verify what extensions were, in fact, loaded, I ran the .chain command and noticed that the DLL for ntsdexts was showing in a “(Not loaded)” status:

This told me that a needed extension was not loaded, and that might have been the result of my custom install of WinDBG. Custom installs are typically done on servers to conserve disk space and not load unnecessary files (such as the SDK and samples). When I re-ran the installer and stepped through the wizard, I noticed that I had not checked the Windows XP Extensions. I did not check this extension as I was installing the debugger on a Windows 2003 Server, not a desktop OS. However, if you look more closely at the description, you will see that the extension is geared to “Windows XP and Windows Server 2003.” This is an omission in the installer UI that can easily be missed:

I simply ensured I selected the Windows XP extention for install, and completed running the installer. Once the installer completed, I restarted WinDBG, and all extentions loaded without a problem: